Summary: ``Risk theory has been identified as an important part of modern financial investment. This paper studies the optimal portfolio selection of the insurance company which takes part in the financial investments and reinsurance business simultaneously. We formulate a stochastic differential formulation model to simulate the wealth volatility of the insurance company in continuous time. As the probability distortion function is defined, the portfolio selection problem is given in terms of that the down-side semi-variance of terminal wealth is considered as the measurement of the risk. The main problem will be decomposed into two subproblems. We study how the insurance company makes the optimal portfolio selection under the semi-variance principle by solving the subproblems. In some special cases, the existence of optimization solutions are analyzed, and general form of the solutions are derived by standard backward stochastic differential formulation. Finally, some numerical examples are presented to illustrate the conclusions.''